Free Sortino Ratio Calculator
Upload your portfolio CSV and get your Sortino ratio — the risk-adjusted return metric that only penalizes downside volatility. A fairer measure than Sharpe for anyone who wants upside exposure.
What is the Sortino ratio?
The Sortino ratio is the Sharpe ratio's downside-only sibling. It only penalizes negative volatility (drawdowns), ignoring upside swings. Calculated as (return − risk-free) / downside standard deviation. Above 2.0 is excellent. Foliolytic computes both Sharpe and Sortino so you can see whether your manager just rode upside volatility or genuinely controlled losses.
Sortino = downside-only Sharpe · above 2.0 = excellentWant the deeper math? Learn the math behind Sortino ratio →
What Is the Sortino Ratio?
The Sortino ratio measures how much excess return your portfolio earns per unit of downside volatility. Developed by Frank Sortino of the Pension Research Institute around 1980 as a refinement of Sharpe — formalized with Robert van der Meer in their 1991 Journal of Portfolio Management paper Downside Risk — it fixes Sharpe's biggest conceptual flaw: treating upside spikes and downside drops as equally bad.
For an investor, a portfolio that jumps 10% in a month is not a problem. Sharpe punishes it anyway because standard deviation includes both directions. Sortino only cares about returns below a minimum acceptable return (MAR), typically the risk-free rate. The result is a metric that rewards portfolios whose volatility is concentrated on the winning side.
The formula:
Sortino = (Rportfolio − MAR) / DownsideDev(Rportfolio)
Where downside deviation is the standard deviation of only those returns below MAR
Because the denominator is smaller than standard deviation, Sortino ratios are typically higher than Sharpe for the same portfolio. A portfolio with Sharpe of 0.8 might have Sortino of 1.2–1.8 depending on its return distribution's asymmetry.
Sortino vs Sharpe — When to Use Which
| Scenario | Better Metric | Why |
|---|---|---|
| Market-maker, arbitrage, low-vol strategies | Sharpe | Consistency matters; any volatility is unwelcome |
| Growth stocks, crypto, options | Sortino | Upside spikes are a feature; don't penalize them |
| Dividend / income portfolios | Sharpe or Sortino | Similar results; returns tend to be symmetric |
| Trend-following, momentum | Sortino | Fat-tailed right-skewed returns favor downside-only |
| Index fund / S&P 500 | Either | Equity return distributions are roughly symmetric |
| Comparing across asset classes | Sortino | More robust to different skew profiles |
Foliolytic computes both Sharpe and Sortino side by side. A meaningful gap (Sortino > Sharpe + 0.5) tells you your volatility is positively skewed — good. A small gap means your returns are roughly symmetric.
Sortino Benchmarks by Asset Class
| Portfolio Type | Typical Sortino (Long-Term) | Strong Result |
|---|---|---|
| S&P 500 (passive) | 0.8 – 1.1 | > 1.2 |
| 60/40 Stocks/Bonds | 0.9 – 1.2 | > 1.4 |
| All-World Equity (VT) | 0.7 – 1.0 | > 1.1 |
| Bitcoin buy-and-hold | 1.1 – 1.6 | > 1.8 |
| Actively traded growth portfolio | varies wildly | > 1.5 = excellent |
| Hedge fund composite | 1.0 – 1.5 | > 1.8 |
These are rough multi-year averages. Over short windows, Sortino can spike above 3 during trending markets and turn negative during drawdowns — the metric is sensitive to the analysis period.
What Sortino Ratio Do the Major Benchmarks Have Right Now?
As of July 2026, the S&P 500 (SPY) has a 1-year Sortino ratio of 1.90 and a 10-year Sortino of 1.05 — against a 10-year Sharpe of 0.75. Every major equity benchmark scores higher on Sortino than on Sharpe over the past decade, confirming that market volatility skews to the upside. Bonds (AGG) are negative on every window measured.
| Asset | 1Y Sortino | 3Y Sortino | 5Y Sortino | 10Y Sortino | 10Y Sharpe |
|---|---|---|---|---|---|
| SPY (S&P 500) | 1.90 | 1.45 | 0.86 | 1.05 | 0.75 |
| QQQ (Nasdaq-100) | 1.81 | 1.43 | 0.83 | 1.22 | 0.86 |
| VT (Total World) | 1.91 | 1.41 | 0.71 | 0.88 | 0.63 |
| IWM (Russell 2000) | 2.40 | 0.94 | 0.41 | 0.65 | 0.47 |
| AGG (US Bonds) | −0.09 | −0.14 | −0.83 | −0.18 | −0.13 |
| GLD (Gold) | 0.86 | 1.50 | 1.08 | 0.86 | 0.62 |
| BTC (Bitcoin) | −1.65 | 1.07 | 0.68 | 1.47 | 1.00 |
Computed by Foliolytic from daily total returns (dividends reinvested) in its own price database, windows ending July 22, 2026. Minimum acceptable return: 13-week U.S. Treasury bill yield, matched to each day — the same MAR the calculator applies to your portfolio. Equities annualized over 252 trading days, Bitcoin over 365 calendar days. See methodology. Figures refresh when this page is next updated.
The Sortino−Sharpe gap is the story here. SPY's 10-year Sortino of 1.05 versus Sharpe of 0.75 means its volatility skews upward — the drops are sharper but rarer than the steady grind higher. Bitcoin shows the widest gap (1.47 vs 1.00). And the Russell 2000's 2.40 one-year Sortino next to its 0.41 five-year reading is a reminder that short windows flatter whatever rallied last.
Calculate Your Portfolio's Sortino Ratio
Upload a CSV from any brokerage or crypto exchange. See Sharpe, Sortino, and 70+ other metrics in seconds. Free, no signup.
Open the AnalyzerFrequently Asked Questions
What is the Sortino ratio?
The Sortino ratio is a risk-adjusted return metric that measures how much excess return a portfolio earns per unit of downside-only volatility. It's a refinement of the Sharpe ratio, which treats upside and downside volatility equally. Sortino only counts returns below a minimum acceptable return (typically the risk-free rate) when computing the denominator, which is fairer to portfolios whose volatility is concentrated on the winning side.
What is a good Sortino ratio?
Sortino ratios are typically higher than Sharpe for the same portfolio because the denominator is smaller. A Sortino above 1.0 is decent, above 2.0 is good, and above 3.0 is excellent. For comparison: a portfolio with Sharpe of 0.8 might have Sortino of 1.2–1.4 if its volatility is symmetric, or 1.8+ if its volatility skews upside. The interpretation is: "For every unit of bad (downside) volatility I accepted, I earned X units of excess return."
Sortino vs Sharpe — which is better?
Neither is strictly better — they answer different questions. Sharpe penalizes total volatility (upside and downside equally), which makes sense when evaluating strategies where consistency matters regardless of direction (like market-makers). Sortino only penalizes downside volatility, which makes sense for directional investors who actively want upside exposure (most retail investors, growth-stock portfolios, and crypto holders). Use Sortino when upside spikes are a feature, not a bug.
What minimum acceptable return (MAR) does Foliolytic use?
By default, Foliolytic uses the 3-month U.S. Treasury yield at each point in your analysis period as the minimum acceptable return. This matches the risk-free rate used in Sharpe calculations, making the two ratios directly comparable. Some practitioners use a higher MAR (e.g., 5% nominal) when measuring against a specific investor goal — Foliolytic supports custom MAR values in the advanced analytics panel.
What Sortino ratio does the S&P 500 have right now?
As of July 2026, SPY's Sortino ratio is 1.90 over the trailing 1 year, 1.45 over 3 years, 0.86 over 5 years, and 1.05 over 10 years — computed by Foliolytic from daily total returns with dividends reinvested, using the 13-week Treasury bill yield as the minimum acceptable return. Each figure sits well above the matching Sharpe ratio (10-year: 0.73), which is typical for equity indexes because their volatility skews to the upside.
Can Sortino be negative?
Yes. A negative Sortino ratio means your portfolio returned less than the minimum acceptable return even before adjusting for risk. Negative Sortino is more pessimistic than negative Sharpe because Sortino's denominator (downside-only deviation) is smaller, amplifying the magnitude of a negative numerator. A deeply negative Sortino (e.g., below -1.0) is a strong signal that the portfolio is actively destroying capital relative to risk-free alternatives.